I heard that LSI 9460-16i, which has the same controller, can't use the SFF-8639 to SFF-8643 cable included in intel SSDs to connect to NVMe drives directly. Does intel tri-mode HBA\RAID cards have the same issue? If so, which cable should I get? I only need 2-4 drives per card, so 1 drive per socket is good enough.

When you say convert directly to SFF-8639 you mean SFF-8643 to SFF-8639 or how is called now SFF-8643 to U.2?

If this is the case looks like such cable exist but is not manufactured by Intel. It is a 3rd party cable only and is not guarantied to work with Tri-mode RAID cards since voltages and pinout is different for NVMe drives. On intel servers the U.2 connection is made by a hot pluggable backplane with a female SFF-8639 (U.2) on the hdd side and Oculink connectors on the internal side.